9 citations · 20 across the 22 of their papers we have counts for
4 papers · 1 filter
A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies the existence and uniqueness of a classical solution to a type of Robin boundary problems on the nonnegative orthant. We propose a new decomposition-homogenizati…
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
Lijun Bo, Agostino Capponi, Chao Zhou
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk prefe…
Stochastic Delay Differential Equations with Jump Reflection: Invariant Measure
Lijun Bo, Chenggui Yuan
In this paper, we consider a class of multi-dimensional stochastic delay differential equations with jump reflection. Based on existence and uniqueness of the strong solution to th…
On a Stochastic Wave Equation Driven by a Non-Gaussian Levy Process
Lijun Bo, Kehua Shi, Yongjin Wang
This paper investigates a damped stochastic wave equation driven by a non-Gaussian Levy noise. The weak solution is proved to exist and be unique. Moreover we show the existence of…